Research seminar “Empirical Researches of Corporate Finance”

25/03/2024 16:00 online Research Seminar «Empirical Research in Corporate Finance»

Victoria Rodina, Senior Lecturer of the Department of Financial Market Infrastructure

Theme: Optimal solution for immunizing arbitrarily scheduled multiple liabilities

Abstract: Immunization, a control tool for interest rate dependent changes in the value of an asset portfolio given a similar dependency for a target liability portfolio, is central to portfolio management. A vast body of academic literature describes various immunization models either for the case of a single liability payout or assuming a specific change in the yield curve, or both. This paper is the first to propose an immunization solution for the case of multiple liability payouts assuming arbitrary changes in the yield curve. For the case of multiple liability payouts, we generalize M-Absolute, which is a risk measure proposed by Nawalkha и Chambers (1996), and estimate the proximity of payment streams with EMD (the Wasserstein distance) which is a well-known tool in machine learning. In line with Fong and Vasicek (1984), it is shown that portfolio’s interest rate risk is constrained to a product of two factors with one factor, EMD between asset and liability streams, being only dependent on the portfolio structure and the other factor, the sup-norm of the function of interest rate shocks, being solely determined by changes in the yield curve. We also show the unimprovability of the estimate and obtain, in an explicit form, a computational procedure for the optimal immunizing portfolio. The results are practically applicable as exemplified by the immunization of an annuity-type security with a portfolio of government bonds.

Working language: Russian

Zoom link: https://zoom.us/j/92391762969?pwd=RzhGUllNalFBaHNxZEFEOFdBTzJPdz09

Conference ID: 923 9176 2969

Access Code: 779141

21/10/2023 17:00 online Research Seminar «Empirical Research in Corporate Finance»

Veronika Vinogradova, PhD, Senior Lecturer of the School of Finance

Topic: «The upside-down world of value capture. Do companies in technology sector follow the principles of profitable growth?»

Working language: English.

Zoom Link: https://zoom.us/j/97190057075?pwd=cmNxcXl4K3B5V0wxTlV4VWkvZW5nUT09

Conference ID: 971 9005 7075

Access Code: 786250

28/03/2023 16:00 online Research Seminar «Empirical Research in Corporate Finance»

Gorelaya Natalia, PhD, Associate Professor of the School of Finance

Topic: Study of BaaS Model Influence on the Banks' Indicators: Case of Russia

Working language: Russian

Makeeva Elena, PhD, Associate Professor of the School of Finance

Topic: The Influence of Board Characteristics on ESG performance and Firm Value of Russian Non-financial Companies

Working language: Russian

Fokina Ella, PhD, Senior  Lecturer of the School of Finance

Topic: Discovering Efficient Investment Strategies Using M&A Prediction Model and Returns Analysis

Working language: English.

Zoom Link: https://zoom.us/j/95286986177?pwd=WDlhOTJjQ1JwUFFHNzRHOUpUN3N2UT09 

Conference ID: 952 8698 6177

Access Code: 921203

13/12/2022 16:00 online Research Seminar «Empirical Research in Corporate Finance»

1.  Konstantin Popov - Research Intern of Corporate Finance Center, National Research University Higher School of Economics, School of Finance PhD Student.
Topic: «Board Characteristics and ESG Performance: CEO's Moderating Role»

2. Milica Simonovic – School of Finance PhD Student
Topic: «Board Structure and Disclosure of Intellectual Capital- An Empirical Study in Knowledge-Based Economies»

Zoom Link: https://zoom.us/j/95590574043?pwd=SThNQyttN3ZuZ3VPYkRibHFYL1Yydz09

Conference ID: 955 9057 4043

Access Code: 095849

22/11/2022 16:00 online Research Seminar «Empirical Research in Corporate Finance»

1.  Mariia Evdokimova, Lecturer of the School of Finance: «The impact of COVID-19 pandemic on IT companies’ innovation activity in the USA»

2. Evgenia Mikova, PhD, Senior  Lecturer of the School of Finance: «Factor investing in emerging markets»

3. Kristina Galenskaya, Senior Lecturer of the Department of Financial Market Infrastructure: «Complex Interplay of Eastern Bloc SMEs Trade Credit Determinants: Changes due to the Global Financial Crisis»

Zoom https://us06web.zoom.us/j/83309663604?pwd=V3l6Q3gyREgwc2RzZXljQUN6c3JCUT09

Conference ID: 833 0966 3604

Access code: 287591

17/11/2022 16:00 online Research Seminar «Empirical Research in Corporate Finance»

Yulia Ovanesova, PhD, Senior  Lecturer of the School of Finance: «Determinants of Real Estate Companies Valuation After IPO and Specifics of Placement»

Zoom https://us06web.zoom.us/j/81596037006?pwd=Y0pOVCswdzlQK0hIaWI3M3lIRFc5Zz09

Conference ID: 815 9603 7006

Access code: 789748

17/05/2022 16:00 online Research Seminar «Empirical Research in Corporate Finance»

Olga Guseva, Lecturer of the School of Finance, Ph.D. thesis pre-defence: «Grant and Equity Financing of High-Tech Small and Medium Enterprises in Russia» 

Scientific adviser: Anastasia Stepanova

To obtain a Zoom link, please contact df@hse.ru from the HSE corporate mail.

29/03/2022 16:00 online Research Seminar «Empirical Research in Corporate Finance»

Ella Khromova, Lecturer of the School of Finance: «Prediction synergy of credit ratings and probability of default models».

Zoom

Conference ID: 860 2082 4430

Access code: 578429

Webinar (in case of Zoom issues)

22/03/2022 16:00 online Research Seminar «Empirical Research in Corporate Finance»

1. Maria Kokoreva, Associate Professor of the School of Finance: overview of planned publications.

2. Viсtoria Cherkasova, Associate Professor of the School of Finance: «Dependence of innovative activity of companies on their religious and cultural differences»

Zoom  

Conference ID: 894 0743 2522

Access code: 126325

Webinar (in case of Zoom issues)

06/12/2021 16:00 online Research Seminar «Empirical Research in Corporate Finance»

1. Kristina Galenskaya, Senior Lecturer of the Department of Financial Market Infrastructure: «Real and Pseudo Enter To the Bond Market in Russia. In Search of the Determinants»

2. Tatyana Malofeeva, Senior Lecturer of the School of Finance: «Impact of Intellectual Capital Disclosure on the Company's Performance in Different Industries»

Zoom: https://us02web.zoom.us/j/82662141651?pwd=WU5pUFpjR2x3TUdNck5CZm1meVROZz09

23/11/2021 15:00 online Research Seminar «Empirical Research in Corporate Finance»

1. Veronika Vinogradova, Senior  Lecturer of the School of Finance: «Value Creation in Strategic Acquisitions for Growth: Empirical Analysis of Value Drivers»

2. Yulia Ovanesova, Senior  Lecturer of the School of Finance: «CEOs Characteristics and Company Performance in Retail Industry in Western Europe»

Zoom: https://us02web.zoom.us/j/87856185836?pwd=UU1Jb1F5T210OWdyNTR3TGFnRThOdz09

18/11/2021 16:00 online Research Seminar «Empirical Research in Corporate Finance»

1.Aglaia Kokurina, Senior  Lecturer of the School of Finance: «The trends in audit and assurance of non-financial reports»

2.Mariia Evdokimova, Lecturer of the School of Finance: «Students’ survey: propensity to innovate»

Zoom: https://us02web.zoom.us/j/82429248072?pwd=RG9nQXU1bDRpNnQwVEc5em1HT2ZOUT09

09/11/2021 14:00 online Research Seminar «Empirical Research in Corporate Finance»
1. Sergey Kurochkin, PhD, Associate Professor of the Department of Financial Markets Infrastructure: «Dynamic Stability Properties of the Treynor–Black Model»

2. Ilya Sorokin, Senior Lecturer of the Department of Financial Markets Infrastructure: «The Evaluation of the Effectiveness of High-Dividend Strategies in World Markets»

3. Sergey Volodin, PhD, Associate Professor of the Department of Financial Markets Infrastructure: «The Impact of the News on the Value and Trading Volume of the USA Pharmaceutical Companies Stocks»

Zoom: https://us02web.zoom.us/j/84619024319?pwd=QWZFTTg3eUlySldpNnc3cStLZTloZz09

June

30/06/21 19:00 Research Seminar "Empirical Research in Corporate Finance"

O. Guseva, Ph.D. thesis pre-defense. Dissertation topic: "Formal and Informal Forms of Support as Success Drivers of Technology Startups in Russia"

Scientific adviser: A. Stepanova 

Join a Zoom meeting

https://zoom.us/j/91221241865?pwd=b29SeU4wL0E1SjBrYXNhNjczekU4UT09

Conference ID: 912 2124 1865

To obtain an access code, please contact Ulyana Viktorovna Nepryakhina from the HSE corporate mail: unepryahina@hse.ru

22/06/21 16:00 Research Seminar "Empirical Research in Corporate Finance"

1-year postgraduate student Vadim Anpilogov with the report «Influence of CEO Behavioral Characteristics on the Innovation Policy of a Commercial Bank», prepared under the guidance of I. Ivashkovskaya.

1-year postgraduate student Konstantin Popov, the topic of the report «Corporate Governance Features as a Determinant of ESG Practices and Financial Performance of Russian Companies», scientific adviser - E.Makeeva.

Link to zoom conference:

https://zoom.us/j/99843310520

08/06/21 16:00 Research Seminar "Empirical Research in Corporate Finance"

1-year postgraduate student Milica Simonovic with the report «Determinants of Intellectual Capital Disclosure - A Structured Literature Review», prepared under the guidance of I. Ivashkovskaya.

2-year postgraduate student Denis Korablev, the topic of the report «Board Capital, CEO Power and Corporate Performance: Emerging Economy Context», scientific adviser - I. Ivashkovskaya.

Link to zoom conference:
https://zoom.us/j/94017615680

01/06/21 16:00 Research Seminar "Empirical Research in Corporate Finance"

2-year postgraduate student Stanislav Bondarenko with the report "CEO Cultural Background and its Impact on Firms Financial Policy", prepared under the guidance of M. Kokoreva

2-year postgraduate student Alexey Kharlamov with a report “How Do International Institutions and Boards of Directors Overcome Difficulties in Sustainable Investing in Emerging Markets? The Evidence from Russia”, prepared under the guidance of I. Ivashkovskaya.

Link to zoom conference:
https://zoom.us/j/93667664681

May

20/05/21 16:00 Research seminar «Empirical Researches of Corporate Finance»

HSE Associate Professor Anastasia Stepanova and HSE Lecturer Olga Ivantsova, report: «Do Institutional Investors Look at ESG and Corporate Governance When Investing in Banks?»

Link to Zoom:

https://zoom.us/j/96758982319
 

March

16/03/21 Research Seminar "Empirical Research in Corporate Finance"

- Kokoreva M.S., Ph.D., Associate Professor, School of Finance, National Research University Higher School of Economics, report "Why Companies Are So Different?"

- Kuzubov S.A., Doctor of Economics, Associate Professor, School of Finance, National Research University Higher School of Economics, the report "Economic Effects of Goodwill Accounting Methods"

- Malyshev P.Yu., Ph.D., Associate Professor, School of Finance, National Research University Higher School of Economics, report "The Impact of Financial Sector Concentration on the Cost of Retail Financial Products in Russia"

03/03/21 16:00 Research Seminar "Empirical Research in Corporate Finance"

- Grigorieva S.A., Ph.D., Associate Professor, School of Finance, National Research University Higher School of Economics, report "The Impact of CEO Overconfidence on the Effectiveness of M&A Transactions in the USA"

- Dobrynskaya V.V., Candidate of Economic Sciences, Associate Professor at the HSE School of Finance, Ph.D. in Finance, London School of Economics and Political Science report, the report "Is downside risk priced in the cryptocurrency market?"

- Polyakova MV, Ph.D., Associate Professor, School of Finance, National Research University Higher School of Economics, the report "Empirical analysis of the relationship between reinsurance policy and financial results of insurance companies. Experience of Russia."

Link to zoom conference:
https://zoom.us/j/95766459255

December

16/12/20 Research Seminar "Empirical Research in Corporate Finance"

- Ochirova E.S., Ph.D. student, pre-defense of the dissertation topic: "Evaluation of the efficiency of mergers and acquisitions for public companies in order to acquire technology and knowledge" / "The efficiency evaluation of technology mergers and acquisitions of public companies"

14/12/20 Research Seminar "Empirical Research in Corporate Finance"

- Galanova A.V., Ph.D., Associate Professor of the Basic Department of Financial Markets Infrastructure, internal candidate, report: "Influence of Social Networks on the Clothing Companies' Stock Prices"

- Mazhara E.N., Ph.D., Associate Professor of the Department of Finance and Credit, Financial University under the Government of the Russian Federation (Ufa branch), the report: "Effective management of investment processes in the modern economy to build an organizational and economic mechanism"

- Semerina Yu.V., Doctor of Economics, Professor of the Department of Finance and Taxation of the Saratov State Technical University named after Y. Gagarin, the report: "Application of the strategy of sliding along the yield curve in the Russian exchange market of short-term bonds" / "The use of riding the yield curve strategy in the Russian short-term bond market"

November

23/11/20 Research Seminar "Empirical Research in Corporate Finance"

- Mikova ES, Senior Lecturer at the School of Finance, Ph.D., the report: “Risk premiums in the foreign exchange market when optimizing an investment portfolio by the factors of carry-trade, momentum factor, and cost factor.” “Puzzling Premiums on FX Markets: Carry Trade, Momentum, and Value Alone and Strategy Diversification "

- Ovanesova Y.S., a lecturer at the School of Finance, Ph.D. - report: "Different Characteristics of Chief Executive Officers Influence on Companies Business Indicators"

17/11/20 Joint research seminar "Empirical research on Corporate Finance" and "Empirical research on banking»

- Khromova E. P. (scientific supervisor: Doctor of Economics, Professor Karminsky Alexander Markovich ) - "Prediction synergy of banks' credit risk models"

June

Research seminar "Empirical studies of Corporate Finance"

- Polina Khmeleva, Intern at the laboratory of Corporate Finance, report: "Does Corporate Governance matter for Strategic Firm Performance? Evidence from Emerging and Developed European Markets".

- Anastasia Subbotkina, Intern at the Corporate Finance laboratory, report: "The impact of family ownership on the efficiency of Russian companies".

May

 Research seminar "Empirical studies of Corporate Finance»

- Irina Skvortsova, lecturer at the School of Finance, higher school of Economics, PhD,"How does intellectual capital affect the effectiveness of mergers and acquisitions in developed and emerging capital markets?".

- Ochirova Elena Sergeevna, postgraduate student, 3 years, trainee-researcher of Institute for statistical studies and economics of knowledge foresight centre, Laboratory for science and technology, expert of the Institute for statistical studies and     Economics of knowledge, department of quantitative modeling, scientific supervisor associate Professor School of Finance, leading researcher, head of the Institute for statistical studies and еconomics of knowledge, Department of quantitative modeling  J. I. Tanev,  PhD , "The efficiency of technological M&As: the empirical view"

February

 Research seminar "Empirical studies of Corporate Finance»

- Elena Makeeva, associate Professor at the HSE School of Finance, PhD, "The impact of CEO speech on predicting financial fraud"

 Research seminar "Empirical studies of Corporate Finance"

- Anastasia Stepanova, associate Professor at the HSE School of Finance, PhD, "Why companies are so different? Alternative view on firms' financial design".

- Lapshin, Victor A., associate Professor, School of Finance, HSE, candidate of physico-mathematical Sciences "Nonparametric methods of curve estimation of zero coupon yields in the problem of immunization of bond portfolios"

March
 

Research seminar "Empirical studies of Corporate Finance"

- Kuzubov, Sergey Anatolievich, associate Professor, School of Finance, NRU HSE, doctor of Economics, "Transparency of corporate reporting, its impact on the market value of Russian companies"

- Natalia Gorelaya, associate Professor at the HSE School of Finance, Ph. D. in Economics, "The impact of new proportional regulation requirements on the stability and credit pricing of Russian banks: financial leverage"

 Research seminar "Empirical studies of Corporate Finance"

- Marina Polyakova, associate Professor of THE HSE School of Finance, PhD, " Modeling the statistical relationship between technical efficiency and net assets of a company"

- Andrey Stolyarov, associate Professor of the basic Department of financial markets infrastructure, Ph. D. in Economics, "Analysis of the Russian high-yield bond market"